ThmDex – An index of mathematical definitions, results, and conjectures.
Conditional probability given independent sigma-algebra
Formulation 0
Let $P = (\Omega, \mathcal{F}, \mathbb{P})$ be a D1159: Probability space such that
(i) $\mathcal{G} \subseteq \mathcal{F}$ is a D470: Subsigma-algebra of $\mathcal{F}$ on $\Omega$
(ii) $E \in \mathcal{F}$ is an D1716: Event in $P$
(iii) $\sigma_{\text{pullback}} \langle I_E \rangle, \mathcal{G}$ is an D471: Independent collection of sigma-algebras in $P$
Then \begin{equation} \mathbb{P}(E \mid \mathcal{G}) \overset{a.s.}{=} \mathbb{P}(E) \end{equation}
Subresults
R3641: Conditional probability given independent random variable
Proofs
Proof 0
Let $P = (\Omega, \mathcal{F}, \mathbb{P})$ be a D1159: Probability space such that
(i) $\mathcal{G} \subseteq \mathcal{F}$ is a D470: Subsigma-algebra of $\mathcal{F}$ on $\Omega$
(ii) $E \in \mathcal{F}$ is an D1716: Event in $P$
(iii) $\sigma_{\text{pullback}} \langle I_E \rangle, \mathcal{G}$ is an D471: Independent collection of sigma-algebras in $P$
By definition, $\mathbb{P}(E \mid \mathcal{G}) : = \mathbb{E}(I_E \mid \mathcal{G})$. Applying results
(i) R2158: Conditional expectation given independent sigma-algebra
(ii) R2089: Unsigned basic expectation is compatible with probability measure

we have \begin{equation} \mathbb{P}(E \mid \mathcal{G}) = \mathbb{E}(I_E \mid \mathcal{G}) \overset{a.s.}{=} \mathbb{E}(I_E) = \mathbb{P}(E) \end{equation} $\square$